Capital Asset Prices in the V4 Countries
Capital Asset Prices in the V4 Countries

Author(s): Gábor Bóta, László Nagy, Mihály Ormos
Subject(s): Business Economy / Management, Economic policy, EU-Accession / EU-DEvelopment, Financial Markets, Accounting - Business Administration
Published by: Masarykova univerzita nakladatelství
Keywords: asset pricing; multi-factor models; V4 countries;
Summary/Abstract: In our paper we investigate the factors behind the price development of the capital markets of the Visegrad four countries: the Czech Republic, Hungary, Poland and Slovakia. We compare our results with developed European capital markets, namely Austria, France, Germany and the United Kingdom as well. We run regressions for different market equilibrium models: the standard CAPM by Sharpe (1963), Fama and French (1993 and 1996) three-factor model, Carhart (1997) four-factor model, Pastor-Stambaugh (2003) five-factor model and also Fama and French (2015) five-factor model. We use different sets of factors in order to detect the differences and similarities of these capital markets and to find the market equilibrium models with the highest explaining power. The regressions cover the period of 2005-2018 on a daily basis.

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